time-series-forecasting-pytorch icon indicating copy to clipboard operation
time-series-forecasting-pytorch copied to clipboard

Published 20 hours ago • verified publisher icon jinglescode

Lookahead Bias

Open ukuarep opened this issue 2 years ago • 1 comments

The Normalizer class computes the mean and standard deviation over the full data set.

Doesn't this introduce lookahead bias in the model essentially feeding information about future stock prices into you past price data?

ukuarep avatar Jun 29 '23 08:06 ukuarep

This is correct ^^. Also, in the preprocessing steps, shuffling the data -> dataloader arg leads to lookahead bias...

cjpaine109 avatar Aug 06 '24 18:08 cjpaine109